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Moody's changes to negative outlook on four Brazilian banks and bank-related entities, and BM&FBovespa; affirms debt and issuer ratings

31 May 2017

Action follows the change of the outlook on Brazil's Ba2 sovereign rating to negative

Sao Paulo, May 31, 2017 -- Moody's America Latina (MAL) has today changed the outlooks to negative,
from stable, of the global scale local currency debt and/or issuer
ratings assigned to Banco BBM S.A., Banco Daycoval
S.A., BNDES Participações S.A.
- BNDESPAR, Itaúsa - Investimentos Itaú
S.A. and BM&FBovespa S.A. At the same
time, MAL affirmed all the affected global scale ratings and corresponding
national scale ratings. These actions follow the announcements
by Moody's Investors Service that it had changed the outlooks on Brazil's
Ba2 government bond rating and on certain ratings of the affected issuers
or their affiliates to negative from stable, on 26 May 2017 and
31 May 2017, respectively. For additional information,
please refer to the related announcements: https://www.moodys.com/research/Moodys-changes-outlook-on-Brazils-Ba2-issuer-rating-to-negative--PR_367210
and

The following are the Brazilian entities covered in this press release:

- Banco BBM S.A.

- Banco Daycoval S.A.

- BNDES Participações S.A. -
BNDESPAR

- Itaúsa - Investimentos Itaú S.A.

- BM&FBovespa S.A.

RATINGS RATIONALE

The rating actions were prompted by the change in outlook to negative,
from stable, on Brazil's sovereign bond rating, owing to the
rising threat to the economic recovery and to the country's medium-term
economic strength resulting from the increase in uncertainty regarding
reform momentum following recent political events. Any slowdown
in Brazil's tepid economic recovery, which was expected to
gain traction in the second half of the year, will prolong the pressure
on borrowers' repayment capacity and could lead to increasing asset
risks for Brazil's banks, just as these risks looked to have
peaked.

In turn, the pace of loan loss recoveries will slow as rising delinquencies
require banks to make additional provisions, which put pressure
on profits that were expected to start improving thanks to resumed loan
growth and declining funding costs. Moreover, prospects for
further reductions in funding costs could be hampered if a confidence-related
shock to the exchange rate were to feed into higher inflation, limiting
the Central Bank's ability to deliver further rate cuts.

Consequently, Moody's changed the outlooks to negative, from
stable, and affirmed all ratings whose outlooks were revised,
as well as the Brazilian national scale ratings.

The affirmations consider that notwithstanding the recent increase in
downside risk, the affected bank's financial profiles deteriorated
much less than might have been expected over the past several years and
that their credit fundamentals have actually begun to stabilize over the
past three months. Since December 2016, the system's
non-performing loan ratio (NPLs) and reserve coverage have remained
broadly stable at 3.8% and 6.8% of gross loans,
respectively, and collateralization remains adequate. Moreover,
banks continue to demonstrate a conservative risk appetite, with
lending activities contracting by 2.2% in the 12 month period
ended in April 2017 notwithstanding a modest recovery in new loan origination
in the household segment. Nevertheless, banks continue to
post stable earnings, aided by resilient fee-based income
in the period and stable capitalization. Banks' liquidity
remains ample, and exposure to international funding sources is
low, reducing the system's vulnerability to an eventual retraction
of foreign institutional investors in times of increased political uncertainties
in Brazil.

WHAT COULD CHANGE THE RATING -- DOWN/UP

The affected ratings could face downward pressure if Brazil's government
bond rating is downgraded and its country ceilings lowered. Downgrade
pressure could also depend upon a deterioration in the issuers' credit
fundamentals that could arise from delay in economic recovery or a return
to a negative macro environment. While there is no upward ratings
pressure at the present time given the negative outlook, the outlooks
could be stabilized if and when Brazil's sovereign outlook stabilizes.

The principal methodology used in rating BM&FBovespa S.A.
was Securities Industry Service Providers, published in February
2017. Please see the Rating Methodologies page on www.moodys.com.br
for a copy of these methodologies.

Moody's National Scale Credit Ratings (NSRs) are intended as relative
measures of creditworthiness among debt issues and issuers within a country,
enabling market participants to better differentiate relative risks.
NSRs differ from Moody's global scale credit ratings in that they are
not globally comparable with the full universe of Moody's rated entities,
but only with NSRs for other rated debt issues and issuers within the
same country. NSRs are designated by a ".nn" country modifier
signifying the relevant country, as in ".za" for South Africa.
For further information on Moody's approach to national scale credit ratings,
please refer to Moody's Credit rating Methodology published in May 2016
entitled "Mapping National Scale Ratings from Global Scale Ratings".
While NSRs have no inherent absolute meaning in terms of default risk
or expected loss, a historical probability of default consistent
with a given NSR can be inferred from the GSR to which it maps back at
that particular point in time. For information on the historical
default rates associated with different global scale rating categories
over different investment horizons, please see https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1060333.

REGULATORY DISCLOSURES

Information sources used to prepare the rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's information.

Information type used to prepare the rating is the following: debt
documentation, public information, Moody's information and
regulatory filings.

Moody's considers the quality of information available on the rated entity,
obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses
in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not an auditor
and cannot in every instance independently verify or validate information
received in the rating process.

The rating has been disclosed to the rated entity or its designated agent(s)
and issued with no amendment resulting from that disclosure.

Please see the ratings disclosure page on www.moodys.com.br
for general disclosure on potential conflicts of interests.

Moody's America Latina Ltda. may have provided Other Permissible
Service(s) to the rated entity or its related third parties within the
12 months preceding the credit rating action. Please go to the
report "Ancillary or Other Permissible Services Provided to Entities Rated
by Moody's America Latina Ltda." in the link http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_195459
for detailed information.

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Please go to the link http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_195460
for a list of entities receiving products/services from these related
entities and the products/services received.

The date of the last Credit Rating Action for Banco BBM S.A.
was 16 March 2017.

The date of the last Credit Rating Action for Banco Daycoval S.A.
was 16 March 2017.

The date of the last Credit Rating Action for BNDES Participacoes S.A.
- BNDESPAR was 16 March 2017.

The date of the last Credit Rating Action for BM&FBovespa S.A.
was 16 March 2017.

The date of the last Credit Rating Action for Itaúsa - Investimentos
Itaú S.A. was 16 March 2017.

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please see the ratings tab on the issuer/entity page for the respective
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